List of advanced bullets?

me and my grandfather were talking about military stuff (woopy and excuse my spelling) and we were talking about bullet types (have no idea how it got there) but he said that he has heard of a bullet that can penetrate a really think concrete wall (forgot what measurement he said but just think thick) and the closest thing iv found since he forgot the name of the bullet was the XM-25 which uses a laser to obtain a measurement of which the bullet will actually explode at that distance but this bullet doesn't penetrate the wall the shooter must find a weak spot (window, whole, etc) so if you all can help me and finding this bullet my grandfather was talking about im sure he would be interested in knowing what it was